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- W1880495300 abstract "Funds under management by Danish mutual funds have increased by 25% annually during the last 10 years and measured per capita Denmark has the third largest mutual fund industry in Europe. This paper provides the first independent performance analysis of Danish mutual funds. We analyse selectivity applying a single index model and a multi-factor model, respectively. Furthermore, we analyse the timing ability of the Danish mutual funds pursuing both the quadratic regressions of Treynor and Mazuy (1966) and the option approach suggested by Henriksson and Merton (1981). Finally, we analyse performance persistence using parametric as well as non-parametric methodologies. We conclude that in general Danish mutual funds perform neutrally, returns are non-persistent and Danish mutual funds have no timing ability." @default.
- W1880495300 created "2016-06-24" @default.
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- W1880495300 date "2005-01-01" @default.
- W1880495300 modified "2023-09-26" @default.
- W1880495300 title "Danish Mutual Fund Performance - Selectivity, Market Timing and Persistence" @default.
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- W1880495300 doi "https://doi.org/10.2139/ssrn.670701" @default.
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